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Some optimal dividend problems in a Markov-modulated risk model

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On a combination of convex risk minimization methods

Christmann, Andreas - In: Classification - the ubiquitous challenge : proceedings …, (pp. 434-441). 2005

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Multi-constrained optimal reinsurance model from the duality perspectives

Cheung, Ka Chun; He, Wanting; Wang, He - In: Insurance 113 (2023), pp. 199-214

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Pension funds with longevity risk : an optimal portfolio insurance approach

Di Giacinto, Marina; Mancinelli, Daniele; Marino, Mario; … - In: Insurance : mathematics and economics 119 (2024), pp. 268-297

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Optimal reinsurance from an optimal transport perspective

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Stable solutions for optimal reinsurance problems involving risk measures

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 214 (2011) 3, pp. 796-804

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Optimal deterministic investment strategies for insurers

Bäuerle, Nicole; Rieder, Ulrich - In: Risks : open access journal 1 (2013) 3, pp. 101-118

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to … with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that …

Persistent link: https://www.econbiz.de/10010199019

Optimal proportional reinsurance in a bivariate risk model

Gosio, Cristina; Lari, Ester C.; Ravera, Marina - In: Modern economy 6 (2015) 6, pp. 664-671

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Duality in ruin problems for ordered risk models

Goffard, Pierre-Olivier; Lefevre, Claude - In: Insurance 78 (2018), pp. 44-52

Persistent link: https://www.econbiz.de/10011825076